摘要
Inthispaperwefirstconsiderariskprocessinwhichclaiminter-arrivaltimesandthetimeuntilthefirstclaimhaveanErlang(2)distribution.Anexplicitsolutionisderivedfortheprobabilityofultimateruin,givenaninitialreserveofuwhentheclaimsizefollowsaParetodistribution.FollowRamsay,Laplacetransformsandexponentialintegralsareusedtoderivethesolution,whichinvolvesasingleintegralofrealvaluedfunctionsalongthepositiverealline,andtheintegrandisnotofanoscillatingkind.ThenweshowthattheultimateruinprobabilitycanbeexpressedasthesumofexpectedvaluesoffunctionsoftwodifferentGammarandomvariables.Finally,theresultsareextendedtotheErlang(n)case.Numericalexamplesaregiventoillustratethemainresults.
出版日期
2004年03月13日(中国期刊网平台首次上网日期,不代表论文的发表时间)